I see people pointing out the "Caesar -> tsar" link (and I've heard that myself too), but I have to wonder if Akkadian "sar" somehow became "Caesar".
Romans at the time were using three names, the given name (Gaius), the family/clan name (Julius) and the cognomen (Caesar), which was originally a nickname that became hereditary to identify a particular branch of a family.
So, the emperor of Russia was called the tsar because Gaius Julius or one of his ancestors was nicknamed "Curly" or maybe "Beardy".
>because Gaius Julius or one of his ancestors
Sextus Julius Caesar is the first Julii Caesares according to wikipedia. I just love that the term for all of them is Julii Caesares.